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st: Tests of robustness of estimated regression coefficients in stata
I am looking for formal statistical tests of the robustness of regression
coefficient estimates. What I am currently doing is to plot how the
t-statistics of estimated coefficients change as I drop one observation at a
time from the sample.
In my experiment, this is not equivalent to testing for outliers because I
have three dimensions in my panel (countries, industries and time). I first
eliminate outliers by means of formal tests based on the three dimensions
(ijt). Then I wish to test for robustness of estimation results relative
only to the country and industry dimensions (ij).
Can anyone help me on this?
OECD Department of Economics
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Fax (33) 1 45 24 13 47
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